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(Research report / Forskningsrapport, 2001)
In a preceding paper, [7], physical optics was developed for a selection of discrete long wave solutions by application a perturbation expansion. Herein, we approach discrete optics from analysis of discrete energy, in the ...
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We ...
(Research report / Forskningsrapport, 2001)
The stochastic integral representation for an arbitrary random variable in a standard $L_2$-space is considered in a case of a general $L_2$-continuous martingale as integrator. In relation to this, a certain stochastic ...
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
We give a short introduction to some of the theory and methods involved in stochastic control with partial observation. As an illustration we use the stochastic maximum principle and the Kalman-Bucy filter to solve explicitly ...
(Research report / Forskningsrapport, 2001)
We investigate a class of optimal consumption problems where the wealth X(t) at time t is given by a stochastic differential delay equation with a parameter. Not only the present value X(t), but also X(t-\delta) and some ...
(Research report / Forskningsrapport, 2001)
While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the normal distribution, the usual exposition found in text books relies on dynamic programming ...
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
This paper focus on experiments on run-up of strongly nonlinear waves on a moderately steep beach of 10.5deg inclination. Velocity fields are obtained by the PIV (Particle Image Velocimetry) technique. Acceleration ...